Approximation of the invariant measure of stable SDEs by an Euler-Maruyama scheme
DOI10.1016/j.spa.2023.06.001zbMath1528.60073arXiv2205.01342OpenAlexW4380793146MaRDI QIDQ6171647
Rene L. Schilling, Chang Song Deng, Peng Chen, Lihu Xu
Publication date: 14 August 2023
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2205.01342
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
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